Related papers: Some martingale characterizations of compound mixe…
We derive sufficient conditions for the mixing of all orders of interacting transformations of a spatial Poisson point process, under a zero-type condition in probability and a generalized adaptedness condition. This extends a classical…
We generate the fractional Poisson process by subordinating the standard Poisson process to the inverse stable subordinator. Our analysis is based on application of the Laplace transform with respect to both arguments of the evolving…
In 1992 Wang & Larsen extended the may- and must preorders of De Nicola and Hennessy to processes featuring probabilistic as well as nondeterministic choice. They concluded with two problems that have remained open throughout the years,…
We derive joint factorial moment identities for point processes with Papangelou intensities. Our proof simplifies previous approaches to related moment identities and includes the setting of Poisson point processes. Applications are given…
In this short note we define a Poissonian model of directed random graphs which generalises the undirected Poissonian random graph process introduced in [Norros, I.; Reittu, H. "On a conditionally Poissonian graph process." Adv. in Appl.…
For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…
Previously it has been shown that some classes of mixing dynamical systems have limiting return times distributions that are almost everywhere Poissonian. Here we study the behaviour of return times at periodic points and show that the…
In this paper we give a historical account of the development of Poisson approximation using Stein's method and present some of the main results. We give two recent applications, one on maximal arithmetic progressions and the other on…
In this note we re-examine the analysis of the paper "On the martingale property of stochastic exponentials" by B. Wong and C.C. Heyde, Journal of Applied Probability, 41(3):654-664, 2004. Some counterexamples are presented and alternative…
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…
In this paper, we adopt a Bayesian point of view for predicting real continuous-time processes. We give two equivalent definitions of a Bayesian predictor and study some properties: admissibility, prediction sufficiency, non-unbiasedness,…
Dynamical scaling is an asymptotic property typical for the dynamics of first-order phase transitions in physical systems and related to self-similarity. Based on the integral-representation for the marginal probabilities of a fractional…
We present a satisfactory definition of the important class of L\'evy processes indexed by a general collection of sets. We use a new definition for increment stationarity of set-indexed processes to obtain different characterizations of…
We present sufficient conditions for sums of dependent point processes to converge in distribution to a Poisson process. This extends the classical result of Grigelionis [Theory Probab. Appl. 8 (1963) 172--182] for sums of uniformly null…
We define dynamic treatment regimes and associated potential outcomes for data described by marked point processes (MPPs). These definitions motivate MPP analogues of the commonly used consistency, exchangeability, and positivity conditions…
We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are created from affine processes by allowing some of their coefficients to be a function of an exogenous Markov process. MMAPs allow for…
The aim of the present work is to show that the results obtained earlier on the approximation of distributions of sums of independent terms by the accompanying compound Poisson laws may be interpreted as rather sharp quantitative estimates…
We show that a compound Poisson distribution holds for scaled exceedances of observables $\phi$ uniquely maximized at a periodic point $\zeta$ in a variety of two-dimensional hyperbolic dynamical systems with singularities $(M,T,\mu)$,…
We give an elementary construction of a time-invertible Markov process which is discrete except at one instance. The process is one of the quadratic harnesses studied in our previous papers and can be regarded as a random joint of two…
The martingale method is used to establish concentration inequalities for a class of dependent random sequences on a countable state space, with the constants in the inequalities expressed in terms of certain mixing coefficients. Along the…